haku: @author Richardson, T. / yhteensä: 1
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| Tekijä: | Richardson, T. Peterson, D. |
| Otsikko: | The cross-autocorrelation of size-based portfolio returns is not an artifact of portfolio autocorrelation |
| Lehti: | Journal of Financial Research
1999 : SPRING, VOL. 22:1, p. 1-14 |
| Asiasana: | FINANCE RESEARCH PORTFOLIO INVESTMENT |
| Kieli: | eng |
| Tiivistelmä: | Prior studies find evidence of asymmetric size-based portfolio return cross-autocorrelations where large firm returns lead current small firm returns. However, some studies question whether this economic relation is independent of the effect of portfolio return autocorrelation. The authors formally test for this independence using size-based portfolios of New York Stock Exchange and American Stock Exchange securities, and, separately, portfolios of Nasdaq securities. |
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